In the summer of 1939, Bill Monroe and his new singing partner, Cleo Davis, sat in an old grease house behind a gas station in Greenville, South Carolina, working up songs to perform. There was one that Davis had often heard his mother Effie sing when he was a little boy, "Footprints in the Snow.” Davis recounted in an interview that, when he heard Monroe sing it, he thought, "Man, are you crazy? You're not singing that song the way it's supposed to be." He added, "So, he [Monroe] changed it around to suit Monroe—yes. And it worked. It worked real well. People really loved it."

Cleo Davis was right. “Footprints in the Snow” went on to become one of Bill Monroe's most requested songs, often featured in live performances throughout his long career. He recorded it for Columbia in 1945 and Decca in 1952. He thought it had been written by "a guy with the Cumberland Ridge Runners," probably John Lair, who was at the WLS National Barn Dance in the early ‘30s when Bill and his brother Charlie were there as dancers. Several sources credit Gussie Lord Davis (1863-1899) as the author, but his “Little Footsteps in the Snow” (1886) is a different song.